The RATS Software Forum

Thanks Tom!

Just one more question: Could I represent my problem as follows?

FP(t) = dR(t) + w1(t)
dR(t) = b(t)dgap(t))
b(t) = b(t-1)+ w2(t)

In that way I could combine my equations to get this:

FP(t) = b(t)dgap(t)) + w1(t)
b(t) = b(t-1)+ w2(t)

Um abraço,

Dear Tom, So I think it would be better to represent my problem as: FP(t) = dR(t) + w1(t) dR(t) = b(t)dgap(t)) b(t) = b(t-1)+ w3(t) Why one would like to take off the w2 term? If I simply combine w1 and w2 , I will have this: 1st step: replace dR(t) FP(t) = [b(t)dgap(t) + w2(t)] + w1(t) 2nd step: co...

Dear RATS Community, I'm trying to learn state-space modelling and I don't know how to represent my model in the state-space representation. The aim of my model is to decompose the government balance into two components: rule and discretion. Please take a look at my model: FP(t) = dR(t) + w1(t) dR(t...

Dear Tom, Thanks a lot for your valuable help :) I think I have one last question: I'm estimating a trivariate VAR using the following variables (using Brazilian monthly data for the period between 1999 and 2010): (1) Output gap (stationary, I(0)); (2) Nominal interest rate (stationary, I(0)); (3) P...

I am estimating a three variable VAR. Two variables are I(1) and one variable is I(0). Isn't it the case that all variables in the VAR should be included in stationary form to avoid spurious results? Actually, no. In fact, if the two I(1) variables are cointegrated, the VAR done in differences is m...

Dear Tom,

And if we could use syntax highlighting only in some places, like comment lines?

Dear Tom, I'm a little bit confused. My problem (a Phillips curve for Brazilian economy) can be represented in that way: inf_f = beta1*inf(-1) + beta2*exp12m + beta3*gap(-1) + beta4(t)*trade(-1) + v(t) b4(t) = b4(t-1) + w4(t) Where: inf_f - non monitored prices inf - total inflation exp12m - 12 mont...

Dear Tom, I'm trying the following command: compute sigmae=.5*sqrt(%seesq) compute sigmav = (||0,0,0,0,8.22955e-04||) nonlin sigmae sigmav dlm(start=sigmav(5),y=m1gr,c=%eqnxvector(mdeq,t),sw=%diag(sigmav.^2),sv=sigmae^2,$ presample=diffuse,method=bfgs,condition=10,type=smooth) 1959:3 1985:4 xstates ...

Dear RATS Community, According to Wikipedia: Syntax highlighting ( http://en.wikipedia.org/wiki/Syntax_highlighting ) is a feature of some text editors that display text—especially source code—in different colors and fonts according to the category of terms. This feature eases writing in a structure...

Tom, I'd altered my model to make only b4 to vary: compute sigmavALT = (||0,0,0,0,8.22955e-04||) dlm(y=m1gr,c=%eqnxvector(mdeq,t),sw=%diag(sigmavALT.^2),sv=sigmaeALT^2,presample=diffuse,$ method=bfgs,condition=10,type=smooth) 1959:3 1985:4 xstatesALT vstatesALT But this didn't produce fixed (time in...

Dear Tom, Now I would like to fix some parameters (i.e. allow only one time varying parameter). Could please take a look at the following code (based on Kim-Nelson's code): Kim-Nelson's Code open data tvp.xls cal(q) 1959:3 data(format=xls,org=columns) 1959:03 1985:04 m1gr dintlag inflag surplag m1la...

Dear Tom, At first I would like to thank you for your quick response! Now I want to build a confidence interval for the parameters. Could you please take a look at my code? dec vect[series] b(5) lower(5) upper(5) set b0 2001:11 2010:05 = xstates(t)(1) set lower_b0 2001:11 2010:05 = b0-1.5*sqrt(vstat...

Dear Tom, I'm trying to use your Kim-Nelson code with my data but it isn't working. Could you please take a look at the following code? open data "Users/henrique/Desktop/Dados.xls" cal(m) 1980:01 data(format=xls,org=columns) 1980:01 2010:05 prod ipca ipca_l ipca12m_e com_pib fin1 set dummy...

That is allowing no drift in any of the coefficients except the gap. Usually, I also recommend that you allow drift in the constant (if the drifting coefficient has a non-zero mean) but the gap probably hangs close enough to zero that you don't necessarily need that. Dear Tom, thanks a lot for your...

Dear Tom, my model is a Taylor Rule for the Brazilian economy: interest(t) = b0 + b1*interest(t-1) + b2*inflation(t) + b3*gap(t) + b4(t)*gap_usa(t) + e(t) I'm trying to check if the impact of external product gap, b4(t), is increasing overtime. I adapted your example using my data (4 variables with ...